45 Pages Posted: 25 May 2004
Date Written: May 2004
The value premium in the UK stock market for the period 1988-2002 is investigated using a new, survivorship-bias-free, look-ahead-bias-free database, SFD Capital UK Fully Listed. A series of classification and regression tests are carried out, following a similar methodology to Lakonishok, Shleifer & Vishny, 1994. The main findings are (1) an economically significant value premium exists, although smaller than that reported in previous UK studies, (2) value is less risky than growth, using the standard risk measures beta and standard deviation, and (3) a powerful small firm effect persists in the UK market during 1988 to 2002.
Keywords: Value Premium, Contrarian Investments, Behavioural Finance, SFD Capital UK Fully Listed
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation
Andrikopoulos, Panagiotis and Daynes, Arief, An Investigation of the Value Premium in the UK Stock Market 1988-2002: Some New Evidence (May 2004). Available at SSRN: https://ssrn.com/abstract=549865 or http://dx.doi.org/10.2139/ssrn.549865